Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0007
Annualized Std Dev 0.1321
Annualized Sharpe (Rf=0%) 0.0051

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1667
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0037
Maximum 0.1545
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0083
Skewness -0.7482
Kurtosis 62.4084

Downside Risk

Close
Semi Deviation 0.0061
Gain Deviation 0.0062
Loss Deviation 0.0073
Downside Deviation (MAR=210%) 0.0112
Downside Deviation (Rf=0%) 0.0061
Downside Deviation (0%) 0.0061
Maximum Drawdown 0.4654
Historical VaR (95%) -0.0114
Historical ES (95%) -0.0196
Modified VaR (95%) -0.0049
Modified ES (95%) -0.0049
From Trough To Depth Length To Trough Recovery
2003-06-17 2008-10-10 2010-09-07 -0.4654 1820 1341 479
2016-07-05 2020-03-18 NA -0.3663 1187 933 NA
2012-03-12 2013-09-12 2016-06-29 -0.2775 1083 379 704
1999-01-06 2000-01-13 2003-05-16 -0.2090 1095 259 836
2010-09-09 2011-01-19 2011-10-17 -0.1982 280 92 188

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.4 0.8 0.8 -0.4 -0.4 0.4 0.5 -0.9 0 0 -0.5 0.5 0.4
2000 0.5 -1.5 1 1 0.5 1 0.5 0 -0.9 -2 0.5 0 0.5
2001 -0.6 1 0.7 0.1 -0.1 0 -0.4 0.1 0.1 0.8 -0.6 0.6 1.7
2002 -0.7 -0.7 -0.2 -1 -0.1 0 0.1 0 -0.5 0.7 0.4 0.2 -1.8
2003 -0.1 -0.3 0.4 0.1 0.2 0.3 -0.8 -0.4 -0.8 0.2 0.2 0.6 -0.4
2004 -0.1 -0.4 -0.2 0.4 -1.2 1 0.4 -0.4 -0.9 -0.2 -0.5 1 -1.1
2005 -0.2 -0.1 0.4 0.1 0.2 -1.2 0.6 0.8 -0.7 0.3 -0.1 0.3 0.4
2006 0.1 -0.5 0.7 0.3 0.8 0.8 0.1 -0.2 0.1 0 0.1 0.2 2.5
2007 -0.3 0.1 0.3 0.1 -0.7 0.1 -0.7 0.7 -0.4 -0.7 -0.2 1.2 -0.5
2008 -0.4 -1.9 0.4 0.2 -0.1 -0.6 0.1 -0.2 0.5 -2.3 -2.6 0.4 -6.4
2009 -1.3 0.9 0.6 0.3 -0.4 -1.3 1.4 0.4 -0.7 0.2 0.5 0 0.5
2010 0.1 0.6 0.1 0.4 0.7 0.1 -0.1 -0.2 0.2 -0.9 -1.9 1.4 0.3
2011 0.6 0.1 0.1 0.2 -0.1 0.6 1.3 1.3 1 1 0.4 -0.2 6.5
2012 0.1 0.2 -0.5 -0.8 -0.6 0.7 -0.3 -0.2 -0.5 -0.1 -0.2 1.3 -0.8
2013 0.1 -0.1 -0.1 0.6 1.5 0.6 -1.7 0.5 -0.3 -0.5 -0.5 -0.2 -0.2
2014 0.2 0 0.1 0.4 -0.3 -0.1 0 0.2 0.6 -0.1 1.1 -0.1 2
2015 -0.1 1.1 0.6 -0.4 0.3 0.8 0.4 0.5 0.5 0.2 2.1 0 6
2016 0 -0.1 0.1 0.4 0.7 0.9 -0.2 0.6 -0.2 0 -0.7 -0.1 1.4
2017 0.4 -0.4 0.2 0 -0.1 0 0.3 -0.1 0.3 -0.1 0.4 0.3 1.1
2018 -0.7 -0.1 0.4 0.5 -0.3 0.1 0.1 0 -0.5 0.4 0.4 0.6 0.8
2019 0 0 0.3 0.3 0.1 0.1 0.6 0.2 0.3 0.2 0.5 0.1 2.7
2020 0.3 -1.7 -2.8 0.9 0.8 -0.1 0.9 0.3 0.5 -0.1 0.3 0.6 0
2021 0.2 0.6 -0.3 NA NA NA NA NA NA NA NA NA 0.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  15.2 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  15.2 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  15.1 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  15.1 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  14.9 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  14.9 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart